Long and short term jumps in commodity futures prices (with M A H Dempster and K Tang). Submitted to Journal of Financial and Quantitative Analysis.
Stabilizing implementable decisions in dynamic stochastic programming. In: Optimal Financial Decision Making Under Uncertainty, G Consigli, D Kuhn & P Brandimarte, eds. International Series in Operations Research and Management Science, Springer Verlag, New York, 2015, to appear (with M A H Dempster and Y S Yong).
Developing a practical yield curve model: An odyssey. In: New Developments in Macro-Finance Yield Curves, J Chadha, A Durre, M Joyce & L Sarnio, eds., Cambridge University Press, 2014, 251-290 (with J Evans and M A H Dempster).
Determinants of oil futures prices and convenience yields (with M A H Dempster and K Tang). Quantitative Finance, 12 (11), 2012, 1795-1809.
Comparison of sampling methods for dynamic stochastic programming (with M A H Dempster and Y S Yong). In Stochastic Optimization Methods in Finance and Energy, M I Bertocchi, G Consigli and M A H Dempster, eds., International Series in Operations Research and Management Science, Springer Verlag , New York, 2011, 389-425.
Asset-liability management for individual households (with M A H Dempster). British Actuarial Journal, 16 (2), 2011, with discussion, 2011, 405-464.
Regulating complex derivatives: Can the opaque be made transparent? (with M A H Dempster and J Roberts). Journal of Banking Regulation, 12 (4), 2011, 409-432.
Planning for retirement: Asset liability management for individuals (with M A H Dempster). In Asset Liability Management 2011 Yearbook, G Mitra and K Schwaiger, eds., Palgrave Macmillan, London, 2011, 409-432.
Long term interest rates and consol bond valuation (with M A H Dempster and M Villaverde). Journal of Asset Management, 11 (2-3), 2010, 113-135.
Risk-profiling defined benefit pension schemes (with M.A.H. Dempster, M. Germano, J.K. Murphy, D. Ryan and F. Sandrini). Journal of Portfolio Management, Summer 2009.
Banking capital and operational risks: Comparative analysis of regulatory approaches for a bank (with P.E.K. Berg-Yuen). Journal of Financial Transformation, 26 (7) 2009, 12-23.
Individual asset liability management (with J K Murphy, A P Owen & K Rehman). Quantitative Finance, 8 (6) 2008, 547-560.
Determinants of oil futures prices and convenience yields (with M A H Dempster and K Tang). Submitted to Management Science, under second review.
Long term spread option valuation and hedging (with M A H Dempster and K Tang). Journal of Banking and Finance, 32 (12) 2008, 2530-2540.
Bayesian Analysis and Markov Chain Monte Carlo Simulation. In the Encyclopedia of Quantitative Risk Assessment, eds. Brian Everitt and Ed. Melnick, Wiley, Chichester, 2008.
DC pension fund benchmarking with fixed-mix portfolio optimization (with M A H Dempster, M Germano, M I Rietbergen, F Sandrini, M Scrowston and N Zhang). Quantitative Finance 7(4), 2007, 365-370.
Empirical copulas for CDO tranche pricing using relative entropy (with M.A.H. Dempster & S.W. Yang). International Journal of Theoretical and Applied Finance 10(4), 2007, 679-702.
Designing minimum guaranteed funds (with M A H Dempster, M Germano, M I Rietbergen, F Sandrini and M Scrowston). Judge Institute of Management Working Paper 17/2004. Quantitative Finance 7(2), 2007, 245-256.
Managing guarantees (with M A H Dempster, M Germano, M I Rietbergen, F Sandrini and M Scrowston). Journal of Portfolio Management 32(2), 2006, 51-61.
A structural approach to EDS pricing (with R G Smith). Risk 19(4), 2006, 84-88.
Economic capital gauged (with P E K Berg-Yuen). Journal of Banking Regulation 6(4), 2005, 353-378.
A framework to measure integrated risk (with R G Smith). Quantitative Finance 5(1), 2005, 105-121.
Price protection strategies for an oil company (with A Sembos). Applications of Stochastic Programming, S W Wallace and W T Ziemba, eds. MPS-SIAM Series in Optimization. Philadelphia: SIAM, 2005, pp. 575-608.
Global asset liability management (with M A H Dempster, M Germano and M Villaverde). British Actuarial Journal 9(1), 2003, 137-216.
Structured products for pension funds (with M A H Dempster, M Germano and M Villaverde). K Marti, Y Ermoliev and G Pflug, (eds.). Dynamic Stochastic Optimization. Berlin: Springer Verlag, 2004, pp.115-130.
Portfolio management for pension funds (with S Arbeleche, M A H Dempster, G W P Thompson, and M Villaverde). Proceedings IDEAL 2003, Hong Kong. Berlin:Springer Verlag, 2004, pp. 462-466.
Extremes in operational risk management (with M N Kyriacou). Risk Management: Value at Risk and Beyond. M A H Dempster, ed. Cambridge University Press, 2002, pp.247-274.
Operational risk capital allocation and integration of risks. Advances in Operational Risk: Firmwide Issues for Financial Institutions. Risk Books, 2001, pp.115-127.
Evolving system architectures for multimedia network design (with J E Scott). Annals of Operations Research 104, 2001, 163-180.
Measuring risk by extreme values, Risk, November 2000, s20-27.
Management of quality of service through chance-constraints in multimedia networks. Probabilistic Constrained Optimization: Methodology and Applications. S P Uryasev, ed, Kluwer, Dordrecht, 2000, pp.242-257.
Extreme values and the measurement of operational risk. Part 2 (with M N Kyriacou). Operational Risk 1(8), 2000, 12-15.
Extreme values and the measurement of operational risk. Part 1. Operational Risk 1(7), 2000, 13-17.
Planning logistic operations in the oil industry (with M A H Dempster, N Hicks Pedron, J E Scott and A Sembos). J Operational Research Society 51(11), 2000, 1271-1288.
Chance-constrained stochastic programming for integrated services network management. Annals of Operations Research 81, 1998, 213-229.
A stochastic programming approach to network planning (with M A H Dempster and R T Thompson). Teletraffic Contributions for the Information Age. V Ramaswami & P E Wirth, eds, ElsevierScience, 1998, pp. 329-341.
Graph theoretical methods for network optimization. Modelling Future Telecom Systems, P G Cochrane & D T Heatley, eds. Chapman & Hall, London, 1996, pp.103-124.
Network flow algorithms for routing in networks with wavelength division multiplexing. IEE J on Communications 142, 1995, 238-243.
Using QAP bounds for the Circulant TSP to design reconfigurable networks. Proceedings DIMACS, P Pardalos and H Wolkowicz, eds. American Mathematical Society, Providence, 1994, pp.275 -292.
Flow models for network design and routing. BT Technology Journal 12, 1994, 57-62.
Combinatorial optimization problems in trace form. Ricerce Operativa 52, 1989, 37-61.